Oil prices and effective dollar exchange rates

被引：104
|
作者：
Beckmann, Joscha [1 ]
Czudaj, Robert [2 ,3 ]
机构：
[1] Univ Duisburg Essen, Dept Econ, Chair Macroecon, D-45117 Essen, Germany
[2] Univ Duisburg Essen, Dept Econ, Chair Stat & Econometr, D-45117 Essen, Germany
[3] Univ Appl Sci, FOM Hsch Oekon & Management, D-45127 Essen, Germany
来源：
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE | 2013年 / 27卷
关键词：
Cointegration; Error correction; Oil price; Effective exchange rates; Markov-switching; TIME-SERIES; UNIT-ROOT; US DOLLAR; COINTEGRATION; INFLATION; PARITY; CHINA; TESTS;
D O I：
10.1016/j.iref.2012.12.002
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study takes into account two previously neglected issues in its analysis of the relationship between oil prices and effective dollar exchange rates, namely, nonlinear adjustment dynamics and a distinction between nominal and real linkages. Beginning with a careful investigation of different subsets, and using a Markov-switching vector error correction model, we are able to discriminate long-run and time-varying short-run dynamics. Our findings show not only that the results depend on the choice of the exchange rate measure, but also that the time-varying causality patterns mainly runs from nominal exchange rates to nominal oil prices. (C) 2012 Elsevier Inc. All rights reserved.
引用
收藏
页码：621 / 636
页数：16
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